成人直播

金融学系列讲座(2008-3-17)

2009-03-13

题目:Asset Returns with Earning Management

演讲人:Bo Sun (University of Virginia)

时间:3月17日周二10:00-11:30am

地点:成人直播新楼217教室

摘要:The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic revelations of the firm’s underlying profitability. The return process generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering, asymmetric volatility, and excessive idiosyncratic volatility.

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